Abstract
The paper introduces a new weak approximation scheme for Kolmogorov type hypoelliptic diffusions based on an operator splitting method and a Malliavin calculus approach. The approximation works even if the test function is not smooth, in other words, irregular functionals of hypoelliptic diffusions appearing in various fields are effectively approximated. A simple numerical algorithm is provided, which is easily implemented by a simulation method with minimum cost on random number generation. The effectiveness of the scheme is confirmed through numerical examples for irregular functionals of hypoelliptic diffusions.
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